Bayes minimax estimation of the multivariate normal mean vector under balanced loss function

We investigate the problem of simultaneous estimation of multivariate normal mean vector using Zellner (1994)’s balance loss function when common variance σ2 is unknown. We first find a class of minimax estimators for this problem which extends a class given by Chung et al. (1999). This result is then used to obtain a large class of Bayes minimax estimators for mean vector.

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Year of publication:	2014
Authors:	Zinodiny, S. ; Rezaei, S. ; Nadarajah, S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 93.2014, C, p. 96-101
Publisher:	Elsevier
Subject:	Balanced loss function \| Bayes estimation \| Minimax estimation \| Multivariate normal mean \| Unknown variance

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011039957